Dear All,
I am researching financial market microstructure and have approx 4 x
10^7 multivariate 2D data samples which I have counted into a 250 x 390
bin matrix (frequency counted 2D histogram) in order to more efficiently
manage the volume of data.
I now wish to construct a smooth kernel density estimate (Gaussian
kernel function) using this binned data.
Does anyone in the R community know of an R function (or S-plus or
Mathematica or Matlab or C++ or even Fortran) to do this.
(Note that bkde2D, ash2 etc will not work with binned data input and
using 4 x 10^7 raw samples on a 0(n^2) algorithm is probably not
feasible)
Thanks in advance.
Regards,
James McCulloch
Post-Doc Fellow
University of Technology Sydney
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